"Aliens" is a broad term. All of the entities in the series are incredibly alien. Beings spawned from another reality are certainly far more alien than space aliens even, since space aliens obviously originate in our own universe whereas the forces controlling/comprising the Otherworld certainly do not. The point about Lovecraft is a sound one, since his more horrible beings, while undisputably terrifyingly alien, originate outside our universe and are more than capable of warping reality and taking on many sanity-destroying forms. Forget Cthulhu and the Great Old Ones and think more on Azathoth, Yog-Sothoth and beings of their kind, known as the Other Gods (or "Outer Gods" by some, but never in the actual stories). Those are the types of alien forces that could work in SH, and are far, far worse in the eyes of Lovecraft and likely Del Toro as well.

_________________I dreamed I lay in a dark valley and all around me were the titanic forms of archangels. I heard distant voices and I knew these supernatural warriors were chanting a litany..."We are the Warriors at the End of Time. We are the lost, the last, the unkind. We are the Warriors on the Edge of Time and we're tired, we're tired... We're tired of making love..."